Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0586 |
| Annualized Std Dev | 0.3242 |
| Annualized Sharpe (Rf=0%) | 0.1808 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.2642 |
| Quartile 1 | -0.0079 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0094 |
| Maximum | 0.2820 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0004 |
| Stdev | 0.0204 |
| Skewness | -0.6462 |
| Kurtosis | 20.0713 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0150 |
| Gain Deviation | 0.0144 |
| Loss Deviation | 0.0169 |
| Downside Deviation (MAR=210%) | 0.0191 |
| Downside Deviation (Rf=0%) | 0.0148 |
| Downside Deviation (0%) | 0.0148 |
| Maximum Drawdown | 0.7546 |
| Historical VaR (95%) | -0.0307 |
| Historical ES (95%) | -0.0496 |
| Modified VaR (95%) | -0.0285 |
| Modified ES (95%) | -0.0285 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-30 | 2016-02-12 | NA | -0.7546 | 3371 | 2087 | NA |
| 2004-01-06 | 2005-12-27 | 2007-09-18 | -0.5281 | 932 | 499 | 433 |
| 1999-07-02 | 2000-10-18 | 2001-05-18 | -0.3116 | 475 | 329 | 146 |
| 2001-06-08 | 2001-09-21 | 2002-03-08 | -0.3056 | 185 | 70 | 115 |
| 2002-05-16 | 2002-10-07 | 2003-01-23 | -0.2717 | 174 | 100 | 74 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0.9 | 0.8 | 0.7 | 1.4 | 1 | 1.7 | -0.6 | -0.6 | -3.8 | 0.6 | -0.6 | 1.4 |
| 2000 | -1.2 | 0 | 1.8 | 0 | 0.7 | -1.3 | -2.4 | 0 | 1.3 | 1.4 | -0.7 | 1.4 | 0.9 |
| 2001 | 0.2 | -3.6 | 2.4 | 3 | -0.4 | -0.4 | -0.2 | -0.7 | -2 | 1 | -0.3 | 0.4 | -0.6 |
| 2002 | -0.2 | 0.7 | 0.5 | -0.5 | 0.6 | -6.5 | 0.5 | 0.9 | 0.7 | 0.3 | 0 | 0 | -3.2 |
| 2003 | -0.5 | -0.4 | 1.9 | -1.8 | 4 | 3.3 | 1.3 | -0.4 | 3.8 | -4.3 | 3.1 | 0.9 | 11.2 |
| 2004 | 1.1 | 1.1 | -0.9 | -3.3 | -3.9 | -2.1 | -1.6 | 0.5 | 2 | 1.7 | -0.3 | -0.2 | -6 |
| 2005 | 0.8 | 1 | 0.6 | -0.5 | -1.1 | 0 | -2.7 | 0.3 | 1.1 | 0.9 | 2.7 | -1.3 | 1.7 |
| 2006 | 1.8 | 0.3 | -1.5 | 0.6 | 0.5 | -1.5 | -2.7 | 1 | 0.1 | -0.5 | -0.6 | 0.9 | -1.7 |
| 2007 | 0.7 | -4.2 | 0.2 | 1.5 | 0.2 | -0.9 | -3.6 | 3.8 | 4.1 | -5.5 | 0.4 | 1.4 | -2.5 |
| 2008 | 2.4 | -3.5 | 3.7 | 2.2 | 0.7 | -1.5 | 0.1 | 0.7 | 2.7 | 2.6 | -4.8 | 4.4 | 9.7 |
| 2009 | -1.1 | -2.3 | 4.6 | 2.6 | 2.5 | 1 | 0.9 | 0.5 | -1.6 | -3 | 2 | 1 | 7.1 |
| 2010 | 2.9 | 1.4 | 2 | -1 | -2.9 | -0.9 | -0.1 | 1.8 | 0.2 | 1.3 | 2.5 | 3 | 10.6 |
| 2011 | 1.8 | -2 | 0.9 | -0.2 | -0.8 | -0.2 | -0.1 | -0.6 | -5.2 | -1.6 | -0.6 | 1.7 | -6.8 |
| 2012 | 0.9 | 0.5 | 1.2 | 0.4 | -1.8 | 2.3 | -0.6 | 0.6 | 0.5 | 2.3 | 1 | 1.8 | 9.4 |
| 2013 | 0.7 | 1 | -0.4 | -1.3 | -0.9 | 0.6 | 1.9 | 0.2 | 0.6 | 0.3 | 1.2 | -1.1 | 2.9 |
| 2014 | -0.1 | -0.2 | 0.4 | 0.2 | -0.1 | 0.7 | 0 | -0.4 | -0.8 | 1.1 | -2.1 | 1.1 | -0.4 |
| 2015 | -1.9 | 0.3 | 1.1 | 0.5 | 0.9 | 0.8 | 0.2 | -2.2 | -0.4 | 0.3 | 1.4 | 1.8 | 2.7 |
| 2016 | 0.2 | 2.4 | -0.5 | -1.4 | -0.5 | 0.7 | 0.1 | 0.3 | 0.3 | -0.2 | -0.3 | 1.3 | 2.3 |
| 2017 | 0.3 | 0.6 | -0.5 | 0.3 | 0.7 | 0 | 0.7 | -0.7 | 0.2 | 0.5 | 0 | 1.4 | 3.3 |
| 2018 | -1 | 0.1 | 0.8 | -0.6 | 1 | 2.5 | -1 | -0.1 | -0.1 | 3.1 | 0.3 | 0.1 | 5 |
| 2019 | -0.4 | 1.6 | 1.8 | 0.1 | -0.3 | 1.6 | -2.1 | -0.2 | -1.3 | 1.3 | -2 | 0.3 | 0.4 |
| 2020 | -3.4 | -1.7 | -1.2 | -2.1 | 1.7 | 1.7 | 0.1 | 1.6 | 0.3 | -1.4 | 0.4 | 1.1 | -3.3 |
| 2021 | 2.4 | 1.2 | -0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
